Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0775 |
| Annualized Std Dev | 0.2473 |
| Annualized Sharpe (Rf=0%) | 0.3135 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3846.0000 |
| NAs | 1.0000 |
| Minimum | -0.1215 |
| Quartile 1 | -0.0064 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0076 |
| Maximum | 0.1311 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0156 |
| Skewness | -0.1410 |
| Kurtosis | 8.8055 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0112 |
| Gain Deviation | 0.0112 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0156 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.5580 |
| Historical VaR (95%) | -0.0232 |
| Historical ES (95%) | -0.0376 |
| Modified VaR (95%) | -0.0230 |
| Modified ES (95%) | -0.0369 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-06 | 2009-03-09 | 2013-03-08 | -0.5580 | 1197 | 190 | 1007 |
| 2020-02-18 | 2020-03-23 | 2020-10-07 | -0.3500 | 163 | 25 | 138 |
| 2014-03-07 | 2016-01-20 | 2017-06-01 | -0.3048 | 816 | 472 | 344 |
| 2007-10-11 | 2008-01-22 | 2008-05-30 | -0.1944 | 160 | 70 | 90 |
| 2006-05-10 | 2006-07-17 | 2007-02-01 | -0.1850 | 184 | 47 | 137 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.7 | -0.7 |
| 2006 | -0.3 | 1.2 | 0.7 | -0.5 | 2.4 | 1.6 | -1.4 | 1.1 | -0.5 | 1.6 | -0.5 | -0.6 | 4.9 |
| 2007 | 1.2 | -0.9 | -0.1 | -1.4 | 1 | 0 | 0.9 | 1.4 | 3.5 | -3.3 | -1.3 | -1.4 | -0.4 |
| 2008 | 1.9 | -1.3 | 2.9 | 2.2 | 1.5 | 0 | -0.6 | -0.6 | -3.2 | 2.4 | -12.1 | 2.4 | -5.4 |
| 2009 | -3.8 | 0.3 | 1.8 | 0.6 | 4.1 | 1.4 | -1 | -1.8 | -3.6 | -2.9 | 1.4 | -0.8 | -4.5 |
| 2010 | 0.6 | 2.1 | 0.7 | -2.2 | -3 | -0.6 | -0.3 | 4.1 | 0.4 | -0.8 | 2.3 | -0.6 | 2.5 |
| 2011 | 3 | -2.1 | 0.3 | 0.2 | -3.1 | 1.5 | -0.7 | -2.5 | -3.8 | -3.1 | -1.4 | -0.5 | -11.8 |
| 2012 | 2.7 | 0.4 | 0.2 | 0.4 | -2.2 | 2.1 | -0.8 | 0.3 | -0.1 | 1.9 | -0.2 | 2 | 6.8 |
| 2013 | 0.9 | -0.1 | -1.6 | -1.2 | -1.2 | 0.8 | 1.3 | -1.2 | 0.6 | -0.4 | 0 | 0.2 | -1.8 |
| 2014 | -0.5 | 0.1 | 0.6 | -0.2 | -0.2 | 0.6 | -0.2 | 0.3 | -0.9 | 0.5 | -1 | -1 | -1.7 |
| 2015 | -1.7 | -0.3 | 0 | 0.2 | 0.3 | 0 | -0.3 | -2.4 | -0.1 | 0.2 | 1 | -0.6 | -3.6 |
| 2016 | -1.4 | 1.8 | 1 | -0.6 | 0.6 | 0 | -0.5 | 0 | 0.8 | -1.5 | 0 | -0.3 | -0.4 |
| 2017 | -0.1 | 1.6 | 0.1 | -0.1 | 1.2 | 0.6 | 0.3 | 0.3 | 0.2 | 0.1 | -0.9 | -0.3 | 3 |
| 2018 | 0.5 | -1.6 | 1.3 | 0.2 | 0.6 | 0.3 | -0.9 | 0.3 | -0.5 | 1.9 | 1.2 | 0.8 | 4 |
| 2019 | -0.1 | 0.5 | 1 | -0.8 | -0.1 | 0.4 | -0.7 | 0.2 | -1.8 | 0.9 | -0.4 | -0.2 | -1.1 |
| 2020 | -2.2 | -2.6 | -6.4 | -2.8 | -0.3 | -0.4 | -0.5 | 1.1 | 0.4 | -0.9 | 0.7 | 0.9 | -12.5 |
| 2021 | 1.8 | 1.9 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-12-06 15.5 SPY 127. 1.90e-3 0.00580 0.0386 0.0235 0.0738 0.387 -0.0496 GLD 50.9 0.0022 0.0219
2 2005-12-07 15.3 SPY 126. -5.80e-3 0.0053 0.0315 0.0209 0.0614 0.37 -0.0469 GLD 51.3 0.0084 0.0452
3 2005-12-08 15.2 SPY 126 -6.00e-4 -0.0054 0.0308 0.0112 0.057 0.408 -0.047 GLD 51.9 0.0113 0.0345
4 2005-12-09 15.4 SPY 126. 2.60e-3 -0.0041 0.0322 0.0159 0.0587 0.393 -0.0526 GLD 52.4 0.00960 0.0413
5 2005-12-12 15.5 SPY 126. 9.00e-4 -0.001 0.0252 0.0226 0.0505 0.393 -0.0818 GLD 52.6 0.0031 0.0351
6 2005-12-13 15.7 SPY 127. 6.80e-3 0.0039 0.0287 0.0333 0.054 0.403 -0.0606 GLD 51.6 -0.0173 0.0149
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
